VWAP Intraday

(Intraday Code Pack)

Zach’s custom intraday VWAP study, including the standard average price and deviation bands along with color-coding to reflect the market’s current position and slope.  As with the ThinkorSwim VWAP, this can be applied to Day, Week or Month periods for ‘calendar resetting’ averages.

This is the backbone of our intraday strategy, as it reveals areas of support and resistance that would otherwise remain hidden, highlighting them through custom colorization.  As an essential visual reference point, this indicator creates the foundation for the primary trade setups we cover in the on-demand course.

VWAP Dashboard

(Intraday Code Pack)

Just as the name implies, Dashboard contains several useful VWAP metrics like price in relation to VWAP (dollars, percent, and StDev) as well as automatic viable position sizing estimation.  Each metric can be separately hidden according to preference and the position size calculator is customizable to fit your particular parameters of risk and reward.

Appearing in the upper left corner of the chart, Dashboard allows traders to quickly assess a chart’s specific volatility in the context of — and its position relative to — the day’s volume-weighted average price.  It’s the quantitative reference point companion to Intraday VWAP, showcasing a variety of metrics a trader would otherwise need to manually measure throughout the trading day.

VWAP Aspect

(Intraday Code Pack)

The Aspect indicator measures any one of three critical VWAP elements —

1) Position: price distance from VWAP in standard deviations as a subgraph indicator

2) Slope: rate of change of VWAP to detect incrementally rising (or waning) directional aggression

3) Deviation Size: using VWAP standard deviation bands as a proxy for expected range, comparing current volatility to historical (‘typical’) volatility as a ratio

Aspect is all about confirmation — that ‘position’ is diverging from price, that slope is intensifying (or decaying), or that volatility is normal or abnormal.

Date VWAP

(Multiday Code Pack)

Date VWAP gives traders the power to launch a volume-weighted average price and deviation bands from any user-input date.  Anchor VWAPs to specific fixed dates and times (YYYYMMDD HHMM format) or, with the ‘DaysAgo’ setting, enable a recurring/rolling average that updates as new days elapse — for example, VWAP over the last five trading days.

This study allows traders to quickly gauge the average price since any date visible on the current chart, whether daily or intraday, with additional options to automatically identify — and launch VWAPs from — daily highs or lows. As such, multiple copies of this indicator can be layered on the same chart with distinct colorization for clarity.

Event VWAP

(Multiday Code Pack)

Requiring no date input from the user, this study automatically launches custom-dated VWAPs from relevant events — earnings, options expiry, user-defined gaps, swing highs or lows, etc. — to detect longer-term thematic support and resistance.  Works on both intraday and daily charts and includes user-specified thresholds for detection of launch events, such as the minimum gap % required to qualify.

EventVWAP is the thematic counterpart to DateVWAP: EventVWAP is an automatic-display indicator for when the trader doesn’t know exact launch dates, whereas DateVWAP is entirely manual in its application.  This indicator alone is a massive enhancement for any long-term VWAP chartist and a significant time-saver (compared to entering dozens of inception dates by hand).

Average Volume

(Multiday Code Pack)

Four volume averaging methods in either absolute (raw data) or relative (easy comparison) format.

Day Cumulative compares current total volume to historical average total volume at the same time of day, similar to a volume ‘pace’ or ‘schedule’ indicator.

Specific Bar is an uncommon method for comparing any given bar to that same bar on prior (visible) days.

Rolling (user-definable) periodic average is a commonplace, X-bars-back comparison against current volume.

Dollar/Percent plots volume in either raw dollar form (the money transacted during a given candle) or percent-of-average-day’s-volume.